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Modeling the interdependence of volatility and inter-transaction duration processes. (English) Zbl 1040.62094
Summary: This paper develops an approach for modeling the interdependence of intra-day volatility and trade duration processes, and extends the recursive specifications that have recently been proposed in the literature. We propose a suitable GMM estimation strategy that includes straightforward estimation of the autoregressive conditional duration model. A Monte Carlo study examines the performance of the estimation method. The empirical work investigates the impact of volatility on transaction intensity in the secondary equity market after a large initial public offering. We find that lagged volatility significantly reduces transaction intensity, which is consistent with predictions from microstructure theory.
MSC:
62P05Applications of statistics to actuarial sciences and financial mathematics
62M10Time series, auto-correlation, regression, etc. (statistics)
65C05Monte Carlo methods